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The purpose of this study is to investigate the impact of government policies adopted by the Tunisian government to cope with the COVID-19 sanitary crisis on stock market return.

The author uses daily data from March 2, 2020, to July 23, 2021.

The author finds that policies interventions have a negative impact on Tunisia's stock market, particularly stock market returns due to stringency, confinement and health measures. Also, Government announcements regarding economic has a negative impact on Tunisia's stock market but this impact is insignificant. By conducting an additional analysis, the author shows that the government interventions policies amplify the negative effect of COVID-19 on stock returns.

These results will be useful for policy authorities seeking to consider the advantages and drawbacks of government measures. Finally, a legislative proposal about the audit of public debt should be included in the Constitution to spur Tunisia's economic and social recovery.

This study contributes to the related literature in two ways: First, it is the first study to examine the impact of government actions on stock market performance. Second, it bridges a gap in the literature by investigating the case of Tunisia, because most studies focus on developed and emerging economies.

This research aims to evaluate the accuracy of several Value-at-Risk (VaR) approaches for determining the Minimum Capital Requirement (MCR) for Islamic stock markets during the pandemic health crisis.

This research evaluates the performance of numerous VaR models for computing the MCR for market risk in compliance with the Basel II and Basel II.5 guidelines for ten Islamic indices. Five models were applied—namely the RiskMetrics, Generalized Autoregressive Conditional Heteroskedasticity, denoted (GARCH), fractional integrated GARCH, denoted (FIGARCH), and SPLINE-GARCH approaches—under three innovations (normal (N), Student (St) and skewed-Student (Sk-t) and the extreme value theory (EVT).

The main findings of this empirical study reveal that (1) extreme value theory performs better for most indices during the market crisis and (2) VaR models under a normal distribution provide quite poor performance than models with fat-tailed innovations in terms of risk estimation.

Since the world is now undergoing the third wave of the COVID-19 pandemic, this study will not be able to assess performance of VaR models during the fourth wave of COVID-19.

The results suggest that the Islamic Financial Services Board (IFSB) should enhance market discipline mechanisms, while central banks and national authorities should harmonize their regulatory frameworks in line with Basel/IFSB reform agenda.

Previous studies focused on evaluating market risk models using non-Islamic indexes. However, this research uses the Islamic indexes to analyze the VaR forecasting models. Besides, they tested the accuracy of VaR models based on traditional GARCH models, whereas the authors introduce the Spline GARCH developed by Engle and Rangel (2008). Finally, most studies have focus on the period of 2007–2008 financial crisis, while the authors investigate the issue of market risk quantification for several Islamic market equity during the sanitary crisis of COVID-19.